yes great point, could you please suggest if one wants to test this strategy, how shall I proceed? first modification I can think of is capping the loss at some x% and then see the return expectancy as we generally wont hold onto losers indefinitely right? also can you please explain how did you arrive at -0.72% stop? wouldnt this param depend also upon the hit rate/% of profitable trades? Also there are some methods one can try, like buy immediately after such disclosure/on open(if disclosure is after hours/before open) and consider that price as a drawdown reference point vs what I considered is closing price of day.
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